The story of the Estonian History Museum begins in 1802, when Tallinn’s town hall pharmacist, Johann Burchard (1776–1838), started a collection called Mon Faible (My weakness, in French). The inspiration for collecting came from one decoratively marbled Easter egg. The first exhibit was a Chinese opium pipe.

In 1822, Burchard put on the exhibition "Antiquities and rarities" at the House of the Brotherhood of the Blackheads. This event was the first of its kind in Tallinn.

In 1842, an academic society of Baltic Germans, the Estonian Literature Society (ELS, Estländische Literärische Gesellschaft), was founded in Tallinn, and one of its aims was to establish a museum “to broaden our knowledge of this country by studying its history, art, manufacturing, technology and nature”. Extensive collections were compiled over the following twenty years, which formed the basis of the Provincial Museum of the Estonian Literature Society, founded in 1864 at the house of St. Canute's Guild.

In 1911, the ELS purchased premises on Toompea at 6 Kohtu Street, where the museum's innovative activities could flourish. As the only museum in the city, it became an important focal point in Tallinn's cultural life with educational lectures and exhibitions.

The Estonian National Museum in Tartu, founded in 1909, became the most important museum in the Republic of Estonia (1918–1940), but the Museum of the ELS retained its important position through its valuable collections, with the archaeological, natural science and cultural history collections and archive continuing to thrive.

Major changes took place at the Museum of the ELS after Estonia was incorporated into the Soviet Union in 1940. The museum was nationalised and the History Museum of the Estonian SSR was established in its place. Some of the exhibits were given out to other museums. The Estonian SSR Museum of Natural History was established using the collections of natural sciences. Overbearing ideological pressure ruined the museum in the following years. In addition to subjugating the museum employees, items that were deemed harmful were eliminated, which meant destroying everything that reminded people of the republic of Estonia. The greater part of the main collections has been preserved, some of which was kept thanks to the personal enthusiasm of the collection managers.

The museum moved to its current location at the Great Guild Hall in 1952.

Maarjamäe Palace, where the History and Revolution Museum of the Estonian SSR was opened in 1987, was amalgamated with the museum in 1975.

In 1989, the museum was renamed the Estonian History Museum. Many important exhibitions that introduced the contemporary history of Estonia were held in the late 1980s and early 1990s: “Tricolour Estonia” at the Great Guild Hall (1989) and “Stalinism in Estonia” at Maarjamäe Palace (1990).